On a symmetrization of diffusion processes
Jiro Akahori () and
Quantitative Finance, 2014, vol. 14, issue 7, 1211-1216
The latter author, together with collaborators, proposed a numerical scheme to calculate the price of barrier options. The scheme is based on a symmetrization of diffusion processes. The present paper aims to give a basis to the use of the numerical scheme for Heston and SABR-type stochastic volatility models. This will be done by showing a fairly general result on the symmetrization (in multi-dimension/multi-reflections). Further applications (to time-inhomogeneous diffusions/ to time-dependent boundaries/to curved boundaries) are also discussed.
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Working Paper: On a Symmetrization of Diffusion Processes (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:14:y:2014:i:7:p:1211-1216
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